Indian Stock Market Price Integration and Market Efficiency

S Amanulla and B Kamaiah
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S Amanulla: Institute for Social and Economic Change

No 50, Working Papers from Institute for Social and Economic Change, Bangalore

Abstract: The main purpose of this paper is to test market effieicenty in a semi-strong form by employing price integration approaches such as the modified Ravallion model and cointegration tests. This paper also investigates whether India stock market is an effieienct processor of macro-information by applying a casuality test. The data used in this study are the monthly stock returns of 53 stocks traded in the Bombay Stock Exchange (BSE), two stock market price indices, viz., the BSE Sensitive Index and the BSE National Index of industrial production (IIP) and general price level (WPI) for the periond 1987:1 - 1994:5. the results from price integration tests support that the Indian Stock market is efficient in a semi-strong form. The evidence from the causality test, however, provides only marginal support for market efficiency.

Keywords: Stock Market; Stock Prices; Stock Market Integration; Market Efficiency (search for similar items in EconPapers)
Pages: 64 pages
Date: 1999
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